Captive Portal, why do I get those certificate warnings?

Your FortiGate is not doing Captive Portal so it should not matter here, you are using the cnMaestro based captive portal here. Can you see the details in that warning and see what exactly it's complaining about? Also you can use online ssl checker for that URL which is giving this certificate error:

https://www.sslshopper.com/ssl-checker.html

 If your cnMaestro server has a public IP and a registered domain name then you will be able to use this online tool. Once your cnMaestro UI itself doesn't show any certificate warning then your captive portal will also start working.

Also if you are trying the captive portal through standard browser and typing in some domain and then getting redirected over HTTPS then it would raise certificate errors as redirection happens to cnMaestro server and the certificate presented is for cnMaestro and not that domain. This is generic issue in usage of captive portal and that's why all new devices try to detect captive portal over HTTP and browser tab shows a message "Open Network Login page" or may even automatically open a new window which displays the login page. Post redirection the login page can be over HTTPS but the domain name in the URL for that login page should match with the certificate being used for that SSL handshake.